Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.4313
Annualized Std Dev 0.5778
Annualized Sharpe (Rf=0%) -0.7465

Row

Daily Return Statistics

Close
Observations 3499.0000
NAs 1.0000
Minimum -0.3079
Quartile 1 -0.0205
Median -0.0032
Arithmetic Mean -0.0016
Geometric Mean -0.0022
Quartile 3 0.0169
Maximum 0.2881
SE Mean 0.0006
LCL Mean (0.95) -0.0028
UCL Mean (0.95) -0.0004
Variance 0.0013
Stdev 0.0364
Skewness 0.0729
Kurtosis 5.4874

Downside Risk

Close
Semi Deviation 0.0253
Gain Deviation 0.0266
Loss Deviation 0.0247
Downside Deviation (MAR=210%) 0.0308
Downside Deviation (Rf=0%) 0.0261
Downside Deviation (0%) 0.0261
Maximum Drawdown 0.9999
Historical VaR (95%) -0.0564
Historical ES (95%) -0.0826
Modified VaR (95%) -0.0566
Modified ES (95%) -0.0829
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-02-16 NA -0.9999 3045 3021 NA
2008-01-23 2008-05-16 2008-09-15 -0.4140 164 81 83
2007-03-06 2007-07-17 2008-01-08 -0.3628 214 93 121
2008-10-28 2008-11-04 2008-11-12 -0.3005 12 6 6
2008-10-13 2008-10-13 2008-10-15 -0.1936 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 4.3 -0.7 -0.8 -1.7 2.2 0.6 -3.6 -3.6 3.2 1.7 0.3 1.6
2008 -8.3 5.3 -7.6 -6.4 -2.3 -0.7 0.9 4.4 0.2 -3.1 15.7 -1.2 -5.2
2009 4.5 1.4 -1.6 -0.9 -10.7 -3.8 -0.5 5.4 8.7 5.5 -5.8 1.3 1.9
2010 -4.7 -4.8 -0.1 7.2 3.9 0.6 2.5 -5.8 -0.1 -0.4 -5.1 0.4 -7.1
2011 -4.5 3.1 3.1 -1.8 6.1 -4 0.4 2.2 6.3 6.1 -0.6 1.4 18.5
2012 -2.8 0.3 -0.5 -1.7 6.6 -7.5 -0.5 -4 0.9 -6.4 0.2 -3.4 -17.9
2013 -4 0.4 4.1 0.9 1.2 -0.8 -2.3 2.2 -0.4 0.5 -1.6 -1.3 -1.5
2014 1.4 -0.4 -1.8 0.4 -0.3 -2 -1 -1.3 4.2 -8.4 2.7 1.6 -5.2
2015 2.9 1.2 1.2 -6.2 1.2 -1.2 0.6 7.2 1.6 -0.6 -1.6 -3.4 2.3
2016 -1.3 -1.5 0.4 5.9 -1.4 0.7 0.4 -2.2 -3.6 1.5 10.8 2.7 12.3
2017 0.5 -2.5 -1.5 -0.6 0.8 0.4 -1.4 -0.7 -1.7 -1.3 1.8 1.6 -4.5
2018 0.9 6 -5.2 -2.9 -4.3 -0.5 0.1 -1 -1.3 -8.1 -2.3 -0.4 -18
2019 -2.9 -2.8 -4.2 1.1 2.2 -3.7 4.3 -0.8 1.9 -3.3 2 -0.7 -7.1
2020 6.4 -4.1 7.3 9.6 1.4 2.7 0.8 -3 -4.1 5.7 -2.6 -0.8 19.5
2021 -6.8 -6.8 -2.6 NA NA NA NA NA NA NA NA NA -15.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 27720 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-05 26836 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
3 2007-02-06 27144 SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
4 2007-02-07 26660 SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08 26708 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09 27648 SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart